Balanced credibility estimation (Q4940112)

The author deals with credibility estimation known as linear Bayes estimation which is a well-established technique in actuarial practice and shows how multivariate credibility estimators should be adjusted to satisfy a linear balancing constraint. In order to illustrate the balancing concept introduced in the paper the author begins with a very brief description of credibility estimation in the now classical Bühlmann-Straub model and considers later more general objects. This idea is not new and has been used in the classical papers by \textit{Fl. de Vylder} [Scand. Actuarial J. 1976, 121-149 (1976; Zbl 0345.62082)] and \textit{G. C. Taylor} [ibid. 1977, 149-168 (1977; Zbl 0384.62083)]. But the constraints proposed in these papers differ from the constraint proposed by the author of this paper. The balance in this paper gives a self-contained derivation of optimal credibility estimation under a generalized balancing constraint.